Disable *all* other programs, including your virus scanner.
If you are running Windows ME and have Norton System (Witch) Doctor installed, search your system for zero byte files called OEM****.INF. If you find any, delete them.
Turn of System Doctor.
Microsoft have issued a patch that will resolve this problem:

CreateFile Improperly Returns ERROR_ALREADY_EXISTS if the Drive Is Locked and the File Did Not Exist [Q301540]
http://support.microsoft.com?scid=kb;en-us;301540

Trend PC-cillin Anti-virus "Real Time Monitor" can also cause download problems.

Error MessagC: Error Locating Object Handler
Error Locating Object Handler
There is no viewer available for the type of object you are trying to to open. The following information is available about this object:
Address of Object: Web_address_of_the_file
Content type: type of file
Possible location of viewer: Microsoft ActiveX Gallery
Do you want to go to this location to download a viewer for this type of object ?
http://support.microsoft.com?scid=kb;en-us;180553

Cannot Use Internet Explorer to Download Files [Q306837]
http://support.microsoft.com?scid=kb;en-us;306837

Err Msg Downloading file: Download Accelerator Error
http://support.microsoft.com?scid=kb;en-us;306903

Error MessagC: Error Locating Object Handler [306903]
http://support.microsoft.com?scid=kb;en-us;309300

Cannot download with Internet Explorer
http://support.microsoft.com?scid=kb;en-us;299328

When you download a file from the Internet, you may not be prompted for the location in which to save the file that you are downloading. Instead, the file may be opened.
http://support.microsoft.com?scid=kb;en-us;177976

File appears to be downloading but is not
http://support.microsoft.com?scid=kb;en-us;301716

Internet Explorer Window Closes When You Click a Download Link [268976]
http://support.microsoft.com?scid=kb;en-us;268976

Browser Window Closes When You Click Link to Download Files
http://support.microsoft.com?scid=kb;en-us;275290

Error Message Attempting to Download .pdf File [231296]
Internet Explorer cannot download from the Internet site File_name from Computer_name.
http://support.microsoft.com?scid=kb;en-us;231296

Cannot Download Documents from a Secure Web Site
Internet Explorer cannot open the Internet site
https://(Web address)/(filename).doc
Server execution failed
or
Microsoft Excel cannot access the file
'https://(Web address)/(filename).xls.'
http://support.microsoft.com?scid=kb;en-us;196124

Err Msg: Internet Explorer Could Not Download (Filename)
http://support.microsoft.com?scid=kb;en-us;196505

Internet Explorer May Not Open a Small Document
When you attempt to open a small document (such as a Microsoft Office document or a .pdf file), you receive the following error messagC:
"The page cannot be displayed".
If you click "Refresh", the document will be displayed correctly.
http://support.microsoft.com?scid=kb;en-us;276436

You Cannot Download Files That Are 2 Giga Byte or Larger
When you attempt to download a file from the Internet by using Hypertext Transfer Protocol (HTTP) in Microsoft Internet Explorer, you may find that the download does not complete. As a result, you cannot download the file.
http://support.microsoft.com?scid=kb;en-us;298618

Extra File Extension May Be Added to Downloaded Files [Q231755]
When you download a file using Internet Explorer, a duplicate file extension may be added to the file name.
http://support.microsoft.com?scid=kb;en-us;231755